Pair Correlation Between Straits Tms and DOW

This module allows you to analyze existing cross correlation between Straits Tms and DOW. You can compare the effects of market volatilities on Straits Tms and DOW and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Straits Tms with a short position of DOW. See also your portfolio center. Please also check ongoing floating volatility patterns of Straits Tms and DOW.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Straits Tms  vs   DOW
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to generate 0.5 times more return on investment than DOW. However, Straits Tms is 1.98 times less risky than DOW. It trades about -0.13 of its potential returns per unit of risk. DOW is currently generating about -0.1 per unit of risk. If you would invest  357,262  in Straits Tms on January 25, 2018 and sell it today you would lose (8,416)  from holding Straits Tms or give up 2.36% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Straits Tms and DOW
0.77

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Straits Tms and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW and Straits Tms is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Straits Tms are associated (or correlated) with DOW. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DOW has no effect on the direction of Straits Tms i.e. Straits Tms and DOW go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns